How do you make a cycles volume material fade to invisible at the edges?
Apparently using a mapping node with a quadratic sphere texture gives the effect of faded edges... and it looks REALLY nice (especially with some tweaking). The node setup in the image I linked is what I used to get a sun-like fade-off effect at the edges.

If you copy the nodes on the underside of my node setup you should be fine, but one thing to keep in mind is that the quadratic sphere gradient is NOT automatically calculated from the center of the object. You'll have to manually adjust the X,Y,Z location on the mapping node to get the gradient's center to match the object's center. I had to eyeball it. 

Also, changing the interpolation of the B/W color ramp in the image changes how quickly the color falls off, so it can blur the light at the edges even more. You can add extra control points to further control this.